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    2010
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    Pricing credit derivatives under incomplete information: a nonlinear-filtering approach
    13 years 10 months ago
    Pricing credit derivatives under incomplete information: a nonlinear-filtering approach
    Download  www.math.uni-leipzig.de
    This paper considers a general reduced form pricing model for credit derivatives where default intensities are driven by some factor process X. The process X is not directly observ...
    Rüdiger Frey, Wolfgang Runggaldier
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    FS
    2006
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    A jump to default extended CEV model: an application of Bessel processes
    13 years 11 months ago
    A jump to default extended CEV model: an application of Bessel processes
    Download  users.iems.northwestern.edu
    We develop a
    Peter Carr, Vadim Linetsky
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